Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity
Jiawen Luo and Langnan Chen
| Year of publication: |
2020
|
|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 2, p. 392-408
|
| Subject: | Multivariate models | performance evaluation | realized volatility forecast | time-varying sparsity | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1567264 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211461